The question is: what directories of file system I should consider to be mounted as ro (as maximum as possible), and what as rw to use Ubuntu as normal? I want to flash as maximum directories as I can to unerasable ultra-fast storage. Upgrading and other stuff is not normal :)
Instead of doing it yourself, why not using the live cd of ubuntu ?
Here is a tutorial on how to boot the live cd of ubuntu from the hard drive (in your case your flash drive).
And here is a tutorial on how you can customise a live cd :